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Phase Space Reconstruction from Economic Time Series Data: Improving Models of Complex Real-World Dynamic Systems

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  • Huffaker, Ray G.

Abstract

Failure of economic models to anticipate the global financial crisis illustrates the need for modeling to better capture complex real-world dynamics. Conventional models—in which economic variables evolve toward equilibria or fluctuate about equilibria in response to exogenous random shocks—are ill-equipped to portray complex real-world dynamics in which economic variables may cycle aperiodically along low-dimensional ‘strange attractors’. We present a method developed in the physics literature—‘phase space reconstruction’—that reconstructs strange attractors present in real-world dynamical systems using time series data on a single variable. Phase space reconstruction provides pictures of real-world dynamics that can guide model specification

Suggested Citation

  • Huffaker, Ray G., 2010. "Phase Space Reconstruction from Economic Time Series Data: Improving Models of Complex Real-World Dynamic Systems," International Journal on Food System Dynamics, International Center for Management, Communication, and Research, vol. 1(3), pages 1-10, October.
    • Handle: RePEc:ags:ijofsd:97021
    DOI: 10.22004/ag.econ.97021
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    Cited by:

    1. Tapia Cortez, Carlos A. & Hitch, Michael & Sammut, Claude & Coulton, Jeff & Shishko, Robert & Saydam, Serkan, 2018. "Determining the embedding parameters governing long-term dynamics of copper prices," Chaos, Solitons & Fractals, Elsevier, vol. 111(C), pages 186-197.
    2. Ray Huffaker, 2015. "Building Economic Models Corresponding to the Real World," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 37(4), pages 537-552.
    3. Richard Aspinall & Michele Staiano & Diane Pearson, 2021. "Emergent Properties of Land Systems: Nonlinear Dynamics of Scottish Farming Systems from 1867 to 2020," Land, MDPI, vol. 10(11), pages 1-27, November.
    4. C. A. Tapia Cortez & J. Coulton & C. Sammut & S. Saydam, 2018. "Determining the chaotic behaviour of copper prices in the long-term using annual price data," Palgrave Communications, Palgrave Macmillan, vol. 4(1), pages 1-13, December.
    5. Berg, Ernst & Huffaker, Ray, 2015. "Economic Dynamics of the German Hog-Price Cycle," International Journal on Food System Dynamics, International Center for Management, Communication, and Research, vol. 6(2), pages 1-17, July.

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